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It is described how nonparametric techniques can be used to test model specification. This is done by comparing nonparametrically estimated quantities with corresponding estimates using a specified parametric model; e.g. a linear model or an additive model. An important part of the model specification procedure is to select the time lags entering the model. This can be done parametrically using an Akaike type criterion, or nonparametrically, as illustrated in this chapter. Finally, for nonlinear models, using the correlation to test for independence is often misleading. Alternative techniques...

It is described how nonparametric techniques can be used to test model specification. This is done by comparing nonparametrically estimated quantities with corresponding estimates using a specified parametric model; e.g. a linear model or an additive model. An important part of the model specification procedure is to select the time lags entering the model. This can be done parametrically using an Akaike type criterion, or nonparametrically, as illustrated in this chapter. Finally, for nonlinear models, using the correlation to test for independence is often misleading. Alternative techniques more suited to nonlinearity are described.